Pricing European and Barrier Options in the Fractional Black-Scholes Market
Year of publication: |
2008-10
|
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Authors: | Necula, Ciprian |
Institutions: | Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti |
Subject: | fractional Brownian motion | fractional Black-Scholes market | the reflection principle for the fractional Brownian motion | mathematical finance | European option | barrier option |
Extent: | application/pdf |
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Series: | Advances in Economic and Financial Research - DOFIN Working Paper Series. - ISSN 1844-6612. |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 20 |
Classification: | C02 - Mathematical Methods ; C60 - Mathematical Methods and Programming. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
A Framework for Derivative Pricing in the Fractional Black-Scholes Market
Necula, Ciprian, (2008)
-
Barrier Options and a Reflection Principle of the Fractional Brownian Motion
Necula, Cipian, (2008)
-
Option Pricing in a Fractional Brownian Motion Environment
Necula, Cipian, (2008)
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-
Modelling and Detecting Long Memory in Stock Returns
Necula, Ciprian, (2008)
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A Framework for Derivative Pricing in the Fractional Black-Scholes Market
Necula, Ciprian, (2008)
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A Two-Country Discontinuous General Equilibrium Model
Necula, Ciprian, (2008)
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